(Markowitz fun) There are just three assets with rates of return r1, r2, and r3, respectively. The covariance matrix and the expected rates of return are
Σ = [2 1 0; 1 2 1; 0 1 2], r̄ = [.4; .8; .8]
(a) Find the global minimum-variance portfolio.
(b) Find another efficient portfolio by setting λ = 1, μ = 0.
(c) If the risk-free rate is rf = 0.2, find the efficient portfolio of risky assets.